Study of Hanoi and HoChiMinh Stock Exchange by Econophysics Methods

Chu Thuy Anh; Dao Hong Lien; Nguyen Tri Lan; Nguyen Ai Viet

doi:10.15625/0868-3166/24/3S2/5011

Study of Hanoi and HoChiMinh Stock Exchange by Econophysics Methods

Chu Thuy Anh, Dao Hong Lien, Nguyen Tri Lan, Nguyen Ai Viet

Author affiliations

Authors

Chu Thuy Anh Institute of Physics, Vietnam Academy of Science and Technology
Dao Hong Lien Institute of Physics, Vietnam Academy of Science and Technology
Nguyen Tri Lan Institute of Physics, Vietnam Academy of Science and Technology
Nguyen Ai Viet Institute of Physics, Vietnam Academy of Science and Technology

DOI:

https://doi.org/10.15625/0868-3166/24/3S2/5011

Keywords:

econophysics, phase transition

Abstract

The econophysics methods are used to study the financial fluctuation of Hanoi Stock Exchange (HNX) and Hochiminh Stock Exchange (HSX) in comparison to Dow John Industrial Average's one. The study has been made both on panic period (2007-2008) and on normal time of theses stocks. The results point out that for the period under consideration, the distribution of returns tends to be Student distribution. There exists an analogy between non-equilibrium phase transitions and financial market movement. Thus it is hypothesized that financial markets undergo self-organizing when the external volatility perception rises above some critical value, the distribution of signs of returns is to be similar to a second order phase transition. The results obtained by econophysics method have quite good agreement with the ones obtained by other economy analyzation methods.

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Published

23-09-2014

How to Cite

[1]

C. T. Anh, D. H. Lien, N. T. Lan, and N. A. Viet, “Study of Hanoi and HoChiMinh Stock Exchange by Econophysics Methods”, Comm. Phys., vol. 24, no. 3S2, pp. 151–156, Sep. 2014.

IEEE

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Issue

Vol. 24 No. 3S2 (2014)

Section

Papers

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